On the Hoggard–Whalley–Wilmott Equation for the Pricing of Options with Transaction Costs
On the Hoggard–Whalley–Wilmott Equation for the Pricing of Options with Transaction Costs
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DOI：
10.1007/s10690-007-9047-8
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发表时间：
2007-08
影响因子：
1.7
通讯作者：
H. Imai;N. Ishimura;Ikumi Mottate;M. Nakamura
中科院分区：
文献类型：
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作者：
H. Imai;N. Ishimura;Ikumi Mottate;M. Nakamura
引入Hoggard-Whalley-Wilmott方程对包含交易成本的欧式期权投资组合进行建模。该模型得到了一个非线性抛物型偏微分方程，其非线性反映了交易费用的存在。我们解析地证明了解的存在性，这些解不一定是凸的，也不一定是凹的。文中还给出了有效处理无限域和无界解的数值处理方法。
The Hoggard–Whalley–Wilmott equation is introduced to model portfolios of European type options incorporating transaction costs. The model gives rise to a nonlinear parabolic partial differential equation (PDE), whose nonlinearity reflects the presence of transaction costs. We show analytically the existence of solutions which are not necessarily convex nor concave. Numerical treatments are also given, which are devised to effectively handle an infinite domain and unbounded solutions.